scholarly journals Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

2005 ◽  
Vol 32 (4) ◽  
pp. 395-404 ◽  
Author(s):  
Łukasz Stettner
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Discrete Time ◽  
Proportional Transaction Costs ◽  
Risk Sensitive

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution

2016 ◽  
Vol 06 (04) ◽  
pp. 1650018 ◽  
Author(s):  
Michal Czerwonko ◽  
Stylianos Perrakis
Keyword(s):  
Diffusion Process ◽  
Transaction Costs ◽  
Portfolio Selection ◽  
Discrete Time ◽  
Continuous Time ◽  
Jump Diffusion ◽  
Numerical Approach ◽  
Proportional Transaction Costs ◽  
Asset Portfolio ◽  
Time Formulation

We derive allocation rules under isoelastic utility for a mixed jump-diffusion process in a two-asset portfolio selection problem with finite horizon in the presence of proportional transaction costs. We adopt a discrete-time formulation, let the number of periods go to infinity, and show that it converges efficiently to the continuous-time solution for the cases where this solution is known. We then apply this discretization to derive numerically the boundaries of the region of no transactions. Our discrete-time numerical approach outperforms alternative continuous-time approximations of the problem.

Risk-sensitive portfolio optimization with transaction costs

2004 ◽  
Vol 8 (1) ◽  
pp. 39-63 ◽  
Author(s):  
Tomasz Bielecki ◽  
Jean-Philippe Chancelier ◽  
Stanley Pliska ◽  
Agnès Sulem
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Risk Sensitive

scholarly journals Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II

2007 ◽  
Vol 2007 ◽  
pp. 1-25 ◽  
Author(s):  
Mou-Hsiung Chang
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Impulse Control ◽  
Stock Price ◽  
Optimization Problem ◽  
Proportional Transaction Costs ◽  
Infinite Dimensional ◽  
Hereditary Nature ◽  
Portfolio Optimization Problem ◽  
The Value Function

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can make transactions between the two assets subject to paying capital-gain taxes as well as a fixed plus proportional transaction cost. The investor is to seek an optimal consumption-trading strategy in order to maximize the expected utility from the total discounted consumption. The portfolio optimization problem is formulated as an infinite dimensional stochastic classical impulse control problem due to the hereditary nature of the stock price dynamics and inventories. This paper contains the verification theorem for the optimal strategy. It also proves that the value function is a viscosity solution of the QVHJBI.

scholarly journals Growth optimal investment in discrete-time markets with proportional transaction costs

2016 ◽  
Vol 48 ◽  
pp. 226-238
Author(s):  
N. Denizcan Vanli ◽  
Sait Tunc ◽  
Mehmet A. Donmez ◽  
Suleyman S. Kozat
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Optimal Investment ◽  
Proportional Transaction Costs
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